FAM-news June 2015

fam-news@fam.tuwien.ac.at

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reminder for upcoming seminars and talks
by Sandra Trenovatz 19 Jun '15

19 Jun '15

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 22.06.2015, 17:00-18:00, Sky Lounge Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor Claudia Czado (TU Munich) http://www.statistics.ma.tum.de/personen/professorinnen/claudia-czado "Systemic stress testing using vine copulas" (ISOR Colloquium) For further details (including abstracts) see https://isor.univie.ac.at/colloquia-seminars/ ------------------------------------------------------------------------ FAM @ TU Wien: Lecture Series in Financial and Actuarial Mathematics ------------------------------------------------------------------------ Tu., 23.06.2015, 16:30, lecture hall: GM 4 Knoller Hörsaal TU Wien, 1060 Wien, Getreidemarkt 9, Bauteil BD Hoftrakt, 2. Stock, Alois Gisler (Departement Mathematik, RiskLab, ETH Zürich) https://people.math.ethz.ch/~agisler/ "Das Chain-Ladder Reserve-Risiko neu betrachtet" (Vortragsreihe in Finanz- und Versicherungsmathematik) For further details (including abstracts) and registration see https://fam.tuwien.ac.at/vr/ GM 4 Knoller Hörsaal http://www.fam.tuwien.ac.at/gif/GM4_Knoller_Hoersaal.pdf ------------------------------------------------------------------------ Veranstaltungsreihe "Actuarial Modelling Club" ------------------------------------------------------------------------ Tu., 25.06.2015, 16:30, lecture hall: Hörsaal 6 TU Wien, 1040, Karlsplatz 13, Hauptgebäude, EG, zwischen Stiege 2 und 7 Thomas Viehmann, Andrea Rauter (B&W Deloitte GmbH) "Negative Zinsen und hohe Volatilität - Herausforderungen für die Kapitalmarktmodellierung" (Actuarial Modelling Club) For further details (including abstracts) and registration see https://fam.tuwien.ac.at/vr/ Hörsaal 6 http://fam.tuwien.ac.at/gif/Hoersaal_6.gif ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 25.06.2015, 16:30, seminar room 101C TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section Umut Cetin (London School of Economics, UK) http://stats.lse.ac.uk/cetin/ "Linear Inverse Problems and Market Microstructure" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 25.06.2015, 17:30, seminar room 101C TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section Antoine Jacquier (Imperial College London, UK) http://www.imperial.ac.uk/people/a.jacquier "Variations on the Heston Theme" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Th., 26.06.2015, 16:30, room SR D4.0.008 WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Evelyn Buckwar (Institut für Stochastik, JKU Linz) https://de.wikipedia.org/wiki/Evelyn_Buckwar "Stochastic numerics and issues in the stability analysis of numerical methods" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/statmath/resseminar/en/ To find the room on the WU Campus search for "D4.0.019" on: http://gis.wu.ac.at/?roomShow=D4.0.008 ------------------------------------------------------------------------

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reminder for upcoming seminars and talks - corrected version
by Sandra Trenovatz 12 Jun '15

12 Jun '15

We appologize for sending a wrong time for the talk on June 19th. The talk of Tilmann Blümmel starts at 12:30. It is corrected below. Best regards, Sandra Trenovatz ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 18.06.2015, 16:30, seminar room 101C TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section Caroline Hillairet (CMAP, École Polytechnique, FR) http://www.cmap.polytechnique.fr/~hillaire/index-en.html "Affine long term yield curves: an application of the Ramsey rule with progressive utility" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 18.06.2015, 17:30, seminar room 101C TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section Rémi Lassalle (Instituto Superior Técnico, University of Lisbon, PT) http://remilassalle.com/ "Some optimal transportation problems related to stochastic differential equations" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 19.06.2015, 09:00, room SR D4.4.008 WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Ralf Wunderlich (Brandenburgische Technische Universität Cottbus) http://www.math.tu-cottbus.de/INSTITUT/lswima/rawu/ "Expert opinions and dynamic portfolio optimization under partial information" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/statmath/resseminar/en/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ Announcement of Public PhD Thesis Defense at TU Wien ------------------------------------------------------------------------ Fr., 19.06.2015, 12:30, seminar room 104 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 5th floor Tilmann Blümmel (FAM @ TU Wien) "Martingalzerlegungssätze und die Struktur von No Arbitrage" (Public PhD Thesis Defense) For further details (including abstracts) see https://fam.tuwien.ac.at/events/ ======================================================================= Additionally we announce two talks of Martin Hairer - Fields Medal 2014 ------------------------------------------------------------------------ Tu., 16.06.2015, 17:00-18:00, Raiffeisen Lecture Hall IST Austria, 3400 Klosterneuburg, Am Campus 1, Central building, 1st fl. Martin Hairer (University of Warwick, UK - Fields Medal 2014) http://www.hairer.org/ "Taming infinities" (IST Special Colloquium) For further details (registration, abstracts) see http://ist.ac.at/events/lectures-talks/the-institute-colloquium/2015/spring… ------------------------------------------------------------------------ Talk of Martin Hairer - Fields Medal 2014 ------------------------------------------------------------------------ We., 17.06.2015, 16:00, Konferenzraum TUtheSky TU Wien, 1060, Getreidemarkt 9, building BA, 11th floor Martin Hairer (University of Warwick, UK - Fields Medal 2014) http://www.hairer.org/ "Modelling a random rubber band" (Distinguished PDE Lecture Series) For further details (including abstracts) see http://viennapde.tuwien.ac.at/events/pdelectures.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 12 Jun '15

12 Jun '15

------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 18.06.2015, 16:30, seminar room 101C TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section Caroline Hillairet (CMAP, École Polytechnique, FR) http://www.cmap.polytechnique.fr/~hillaire/index-en.html "Affine long term yield curves: an application of the Ramsey rule with progressive utility" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 18.06.2015, 17:30, seminar room 101C TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section Rémi Lassalle (Instituto Superior Técnico, University of Lisbon, PT) http://remilassalle.com/ "Some optimal transportation problems related to stochastic differential equations" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 19.06.2015, 09:00, room SR D4.4.008 WU, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Ralf Wunderlich (Brandenburgische Technische Universität Cottbus) http://www.math.tu-cottbus.de/INSTITUT/lswima/rawu/ "Expert opinions and dynamic portfolio optimization under partial information" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/statmath/resseminar/en/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ Announcement of Public PhD Thesis Defense at TU Wien ------------------------------------------------------------------------ Fr., 19.06.2015, 19:00, seminar room 104 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 5th floor Tilmann Blümmel (FAM @ TU Wien) "Martingalzerlegungssätze und die Struktur von No Arbitrage" (Public PhD Thesis Defense) For further details (including abstracts) see https://fam.tuwien.ac.at/events/ ======================================================================= Additionally we announce two talks of Martin Hairer - Fields Medal 2014 ------------------------------------------------------------------------ Tu., 16.06.2015, 17:00-18:00, Raiffeisen Lecture Hall IST Austria, 3400 Klosterneuburg, Am Campus 1, Central building, 1st fl. Martin Hairer (University of Warwick, UK - Fields Medal 2014) http://www.hairer.org/ "Taming infinities" (IST Special Colloquium) For further details (registration, abstracts) see http://ist.ac.at/events/lectures-talks/the-institute-colloquium/2015/spring… ------------------------------------------------------------------------ Talk of Martin Hairer - Fields Medal 2014 ------------------------------------------------------------------------ We., 17.06.2015, 16:00, Konferenzraum TUtheSky TU Wien, 1060, Getreidemarkt 9, building BA, 11th floor Martin Hairer (University of Warwick, UK - Fields Medal 2014) http://www.hairer.org/ "Modelling a random rubber band" (Distinguished PDE Lecture Series) For further details (including abstracts) see http://viennapde.tuwien.ac.at/events/pdelectures.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 05 Jun '15

05 Jun '15

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 08.06.2015, 17:00-18:00, ISOR-meeting room (6.511) Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 6th floor Per Mykland (Univ. Chicago) http://galton.uchicago.edu/~mykland/ "Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance" (ISOR Colloquium) For further details (including abstracts) see https://isor.univie.ac.at/colloquia-seminars/ ------------------------------------------------------------------------ Announcement of Public PhD Thesis Defense at TU Wien ------------------------------------------------------------------------ Tu., 09.06.2015, 9:00, seminar room 104 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 5th floor Jonas Hirz (FAM @ TU Wien) "Advanced Conditional Risk Measurement and Risk Aggregation with Applications to Credit and Life Insurance" (Public PhD Thesis Defense) For further details (including abstracts) see https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ FAM @ TU Wien: Lecture Series in Financial and Actuarial Mathematics ------------------------------------------------------------------------ Tu., 09.06.2015, 16:30, seminar room 107, TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Pavel V. Shevchenko (CSIRO Australia) http://www.risk.net/static/pavel-shevchenko "Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit and capital protection options via stochastic control optimization" (Vortragsreihe in Finanz- und Versicherungsmathematik) For further details (including abstracts) see https://fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ Book Launch & Workshop "Quantitative Risk Management", 10.6.2015, 15.30 ------------------------------------------------------------------------ We., 10.06.2015, 15:30-18:30, WU, Executive Academy, Foyer 1020, Welthandelsplatz 1, WU Campus, building EA, ground floor Alexander J. McNeil (Heriot-Watt University, UK) http://www.macs.hw.ac.uk/~mcneil/ "Backtesting Trading Book Models Using Estimates of VaR, Expected Shortfall and Realised p-Values" Paul Embrechts (ETH Zurich, CH) https://people.math.ethz.ch/~embrechts/ "How to Model Operational Risk" Find further details (incl. registration) under: http://www.wu.ac.at/statmath/detail-statmath/news/detail/News/quantitative-… Executive Academy, Foyer: http://gis.wu.ac.at/?roomShow=EA.0.024 ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 11.06.2015, 16:30, seminar room 101C TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section Pierre-Francois Rodriguez (ETH Zurich) https://people.math.ethz.ch/~rpierre/ "On near-critical level set-percolation for the Gaussian free field" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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FAM-news June 2015